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Journal of Applied Econometrics

1986 - 2010

Continued by Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 7, issue S, 1992

Nonlinear Dynamics and Econometrics: An Introduction pp. S1-7 Downloads
M Pesaran and Simon Potter
Complex Economic Dynamics: Obvious in History, Generic in Theory, Elusive in Data pp. S9-23 Downloads
R H Day
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic pp. S25-39 Downloads
Tung Liu, Clive Granger and W P Heller
Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis pp. S41-60 Downloads
W D Dechert and Ramazan Gencay
The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP pp. S61-82 Downloads
Bruce Hansen
Merger Waves and the Structure of Merger and Acquisition Time-Series pp. S83-100 Downloads
Robert Town
Nonlinear Dynamics in a Structural Model of Employment pp. S101-18 Downloads
Simon Burgess
Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models pp. S119-36 Downloads
Timo Teräsvirta and Heather Anderson
Forecast Improvements Using a Volatility Index pp. S137-49 Downloads
Blake Lebaron
Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates pp. S151-63 Downloads
Bruce Mizrach
Nonlinear Time-Series Analysis of Stock Volatilities pp. S165-85 Downloads
Charles Cao and R S Tsay
The Comparative Power of the TR Test against Simple Threshold Models pp. S187-95 Downloads
Philip Rothman

Volume 7, issue 4, 1992

Market Structure and Spells of Employment and Unemployment: Evidence from the Construction Sector in Egypt pp. 339-67 Downloads
Insan Tunali and Ragui Assaad
Stochastic Trends and Economic Fluctuations in a Small Open Economy pp. 369-94 Downloads
Erik Mellander, Anders Vredin and Anders Warne
Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach pp. 395-411 Downloads
Gary Koop
Simple Tests for Sample Selection Bias in Censored and Discrete Choice Models pp. 413-21 Downloads
Francis Vella
MicroTSP Version 7.0: A Review pp. 423-29 Downloads
Matthew L Higgins and Nabil Ltaifa

Volume 7, issue 3, 1992

Survey Evidence on the Rationality of Expectations pp. 225-41 Downloads
Marc Ivaldi
Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function pp. 243-57 Downloads
Theo Nijman and Marno Verbeek
Alternative Estimators for Factor GARCH Models--A Monte Carlo Comparison pp. 259-79 Downloads
Wen-Ling Lin
International Evidence on Persistence in Output in the Presence of an Episodic Change pp. 281-93 Downloads
Baldev Raj
The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples pp. 295-308 Downloads
Stephen R Blough
Polynomial Approximations in Cross-Sectional Models pp. 309-22 Downloads
R P Byron
A Review of the Econometrics Toolkit (ET) pp. 323-28 Downloads
Michael P Kidd

Volume 7, issue 2, 1992

The Role of the List Price in Housing Markets: Theory and an Econometric Model pp. 115-29 Downloads
Joel Horowitz
The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-ARCH Model pp. 131-48 Downloads
Robert Rich, J E Raymond and J. Butler
Automobile Insurance Ratemaking in the Presence of Asymmetrical Information pp. 149-65 Downloads
Georges Dionne and C Vanasse
Estimation of Data Measured with Error and Subject to Linear Restrictions pp. 167-74 Downloads
Martin Weale
Some Strange Properties of Panel Data Estimators pp. 175-89 Downloads
Donald Robertson and J Symons
Hypotheses Testing Concerning Relationships between Spot Prices of Various Types of Coffee pp. 191-201 Downloads
E Vogelvang
The Stationarity of British Economic and Productivity Growth 1856-1913 pp. 203-09 Downloads
D Greasley
Erratum [Resampling a Time-Series Process: A Method of Estimating the Probabilities Associated with Alternative Plans for Protecting Pensions against Inflation] pp. 211-13 Downloads
Frank Denton and Byron Spencer
The GAUSS Programming System: A Review pp. 215-19 Downloads
Richard Anderson

Volume 7, issue 1, 1992

Time Aggregation and the Distributional Shape of Unemployment Duration pp. 5-30 Downloads
R Bergstrom and Per-Anders Edin
Classification and Aggregation: An Application to Industrial Classification in CPS Data pp. 31-51 Downloads
R Cotterman and Franco Peracchi
Estimation of a Continuous-Time Dynamic Demand System pp. 53-64 Downloads
Marcus Chambers
'Objective' Bayesian Unit Root Tests pp. 65-82 Downloads
Gary Koop
Testing a Discrete Switching Disequilibrium Model of the UK Labour Market pp. 83-91 Downloads
Stephen Hall, S G B Henry and M Pemberton
Bootstrapping the Process of Model Selection: An Econometric Example pp. 93-99 Downloads
Michael Veall
MICRO-EBA: Leamer's Extreme Bounds Analysis on GAUSS pp. 101-03 Downloads
Tsunemasa Shiba
Review of PCBRAP pp. 105-07 Downloads
Gary Koop

Volume 6, issue 4, 1991

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends pp. 333-64 Downloads
Peter Phillips
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 365-70 Downloads
Gary Koop and Mark Steel
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: Comment pp. 371-73 Downloads
Edward Leamer
Flat Priors vs. Ignorance Priors in the Analysis of the AR(1) Model pp. 375-80 Downloads
In-Moo Kim and G S Maddala
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 381-86 Downloads
Dale J Poirier
On Bayesian Routes to Unit Roots pp. 387-401 Downloads
Peter C Schotman and Herman van Dijk
Bayesian Approaches to the 'Unit Root' Problem: A Comment pp. 403-11 Downloads
James Stock
The Case for Trend-Stationarity Is Stronger Than We Thought pp. 413-21 Downloads
David DeJong and Charles Whiteman
To Criticize the Critics: Comment pp. 423-34 Downloads
Christopher Sims
Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum pp. 435-73 Downloads
Peter Phillips

Volume 6, issue 3, 1991

Models for Truncated Counts pp. 225-38 Downloads
Jeffrey Grogger and Richard Carson
Price Formation in Commodity Markets pp. 239-54 Downloads
Montague Lord
A Small Linear Model of Wage- and Price-Inflation in the Norwegian Economy pp. 255-69 Downloads
Ragnar Nymoen
Demand for Durable and Nondurable Goods, Environmental Policy and Consumer Welfare pp. 271-86 Downloads
K Conrad and Michael Schröder
The Limiting Distribution of Extremal Exchange Rate Returns pp. 287-302 Downloads
Martien C A B Hols and Casper de Vries
Resampling a Time-Series Process: A Method of Estimating the Probabilities Associated with Alternative Plans for Protecting Pensions against Inflation pp. 303-14 Downloads
Frank Denton and Byron Spencer

Volume 6, issue 2, 1991

Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge pp. 109-24 Downloads
Richard Baillie and Robert Myers
The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market pp. 125-42 Downloads
Fabio Canova and Takatoshi Ito
Term Structure of Interest Rates in the Singapore Asian Dollar Market pp. 143-52 Downloads
Tom K Y Lee and Y. K. Tse
Expenditure Allocation across Nondurables, Services, Durables and Savings: An Empirical Study of Separability in the Long Run pp. 153-68 Downloads
G J Anderson
Specification Tests Based on the Heterogeneous Generalized Gamma Model of Duration: With an Application to Kennan's Strike Data pp. 169-80 Downloads
Sanjiv Jaggia
Describing the Separability Properties of Empirical Demand Systems pp. 181-206 Downloads
Rafiq Baccouche and Francois Laisney
A Review of STATA 2.1 pp. 207-12 Downloads
Steven P Peterson
Progressive Econometric Modelling (PERM): A Review pp. 213-17 Downloads
Chris Dineen

Volume 6, issue 1, 1991

Wage and Price Adjustment in a Multimarket Disequilibrium Model pp. 1-15 Downloads
Bernard Salanié
Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand pp. 17-30 Downloads
Marlene A Smith and David J Smyth
Persistent Deficits and the Market Value of Government Debt pp. 31-44 Downloads
Gregor Smith and Stanley Zin
Toward Efficiency in the Crude-Oil Market pp. 45-66 Downloads
Steven L Green and Knut Anton Mork
The Effect of Parameter Uncertainty on Forecast Variances and Confidence Intervals for Unit Root and Trend Stationary Time-Series Models pp. 67-76 Downloads
Michael Sampson
An Application and Test for a Random Coefficient Model in Bangladesh Agriculture pp. 77-90 Downloads
Asraul Hoque
Elasticity of Substitution, Technical Progress and Returns to Scale in Branches of Soviet Industry: A New CES Production Function Approach pp. 91-96 Downloads
Erkin Bairam
Statistical Software Tools (SST) Version 2.0: An Update pp. 97-101 Downloads
Pravin Trivedi
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